Coupling methods and exponential ergodicity for two‐factor affine processes

Jianhai Bao and Jian Wang

Mathematische Nachrichten, 2023, vol. 296, issue 5, 1716-1736

Abstract: In this paper, by invoking the coupling approach, we establish exponential ergodicity under the L1‐Wasserstein distance for two‐factor affine processes. The method employed herein is universal in a certain sense so that it is applicable to general two‐factor affine processes, which allow that the first component solves a general Cox‐Ingersoll‐Ross (CIR) process, and that there are interactions in the second component, as well as that the Brownian noises are correlated; and even to some models beyond two‐factor processes.

Date: 2023
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https://doi.org/10.1002/mana.202100064

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